Package com.opengamma.financial.security.option

Examples of com.opengamma.financial.security.option.BarrierType

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    if (fxRate == null) {
      return null;
    }
    final double callAmount = NOTIONAL * fxRate;
    final String dateString = settlementDate.toString(DATE_FORMATTER);
    final BarrierType barrierType = bundle._up ? BarrierType.UP : BarrierType.DOWN;
    final BarrierDirection barrierDirection = BarrierDirection.KNOCK_IN;
    final MonitoringType monitoringType = MonitoringType.CONTINUOUS;
    final SamplingFrequency samplingFrequency = SamplingFrequency.DAILY_CLOSE;
    final boolean invertBarrierLevel = !CurrencyPair.of(putCurrency, callCurrency).equals(getCurrencyPair(putCurrency, callCurrency));
    // so if UP and ccy convention order, multiple, if UP and inverted ccy order, divide, if DOWN and ccy convention order multiply, if DOWN and inverted ccy order, divide.
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    final ExternalId underlyingId = createEquitySecurity().getExternalIdBundle().getExternalId(ExternalSchemes.BLOOMBERG_TICKER);
    final ExerciseType exerciseType = exerciseType();
    final Expiry expiry = expiry();
    final double pointValue = 0;
    final String exchange = exchange();
    final BarrierType barrierType = barrierType();
    final BarrierDirection barrierDirection = barrierDirection();
    final MonitoringType monitoringType = monitoringType();
    final SamplingFrequency samplingFrequency = samplingFrequency();
    final double barrierLevel = 0;
    final EquityBarrierOptionSecurity security = new EquityBarrierOptionSecurity(optionType, strike, currency, underlyingId, exerciseType, expiry, pointValue, exchange, barrierType,
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    final Currency callCurrency = differentCurrency(putCurrency);
    final double putAmount = 0;
    final double callAmount = 0;
    final Expiry expiry = expiry();
    final ZonedDateTime settlementDate = expiry.getExpiry();
    final BarrierType barrierType = barrierType();
    final BarrierDirection barrierDirection = barrierDirection();
    final MonitoringType monitoringType = monitoringType();
    final SamplingFrequency samplingFrequency = samplingFrequency();
    final double barrierLevel = 0;
    final boolean isLong = bool();
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      final double smoothingFullWidth, final double overhedge) {

    final Set<EquityIndexOption> vanillas = new HashSet<>();
    // Unpack the barrier security
    final BarrierDirection bInOut = barrierOption.getBarrierDirection(); //   KNOCK_IN, KNOCK_OUT,
    final BarrierType bUpDown = barrierOption.getBarrierType(); //   UP, DOWN, DOUBLE
    final double strike = barrierOption.getStrike();
    final double barrier = barrierOption.getBarrierLevel();
    final ZonedDateTime expiry = barrierOption.getExpiry().getExpiry();
    final double ttm = TimeCalculator.getTimeBetween(valuation, expiry);
    final Currency ccy = barrierOption.getCurrency();
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    final ZonedDateTime expiry = barrierSec.getExpiry().getExpiry();
    final ZonedDateTime settlement = barrierSec.getSettlementDate();

    // The barrier has four types
    final BarrierDirection bInOut = barrierSec.getBarrierDirection(); //   KNOCK_IN, KNOCK_OUT,
    final BarrierType bUpDown = barrierSec.getBarrierType(); //   UP, DOWN, DOUBLE
    final double barrier = barrierSec.getBarrierLevel();

    // Put and Call Amounts, along with market convention for quote/base ccy define the strike, notional, and call/put interpretation
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final String putCurveName = desiredValue.getConstraint(PUT_CURVE);
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Related Classes of com.opengamma.financial.security.option.BarrierType

  • com.opengamma.financial.analytics.model.equity.option.EquityVanillaBarrierOptionBlackFunction
  • com.opengamma.financial.analytics.model.forex.option.black.FXOneLookBarrierOptionBlackFunction
  • com.opengamma.financial.generator.AbstractFXSecurityGenerator
  • com.opengamma.integration.viewer.status.impl.BloombergReferencePortfolioMaker
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